Ghosh, MK and Pradhan, S (2022) A NONZERO-SUM RISK-SENSITIVE STOCHASTIC DIFFERENTIAL GAME IN THE ORTHANT. In: Mathematical Control and Related Fields, 12 (2). pp. 343-370.
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Official URL: https://doi.org/10.3934/mcrf.2021025
Abstract
We study a nonzero-sum risk-sensitive stochastic differential game for controlled reflecting diffusion processes in the nonnegative orthant. We treat two cost evaluation criteria, namely, discounted cost and ergodic cost. Under certain assumptions, we establish the existence of Nash equilibria. Also, we completely characterize a Nash equilibrium for the ergodic cost criterion in the space of stationary Markov strategies.
| Item Type: | Journal Article |
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| Publication: | Mathematical Control and Related Fields |
| Publisher: | American Institute of Mathematical Sciences |
| Additional Information: | The copyright for this article belongs to the Authors. |
| Department/Centre: | Division of Physical & Mathematical Sciences > Mathematics |
| Date Deposited: | 24 Jun 2022 10:15 |
| Last Modified: | 24 Jun 2022 10:15 |
| URI: | https://eprints.iisc.ac.in/id/eprint/73631 |
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